Pages that link to "Item:Q1679474"
From MaRDI portal
The following pages link to Functional Itô calculus, path-dependence and the computation of Greeks (Q1679474):
Displaying 18 items.
- A functional Itô's calculus approach to convex risk measures with jump diffusion (Q322579) (← links)
- Itô calculus without probability in idealized financial markets (Q493630) (← links)
- Computing deltas without derivatives (Q522065) (← links)
- A note on functional derivatives on continuous paths (Q900553) (← links)
- Weak differentiability of Wiener functionals and occupation times (Q1990962) (← links)
- A duality formula and a particle Gibbs sampler for continuous time Feynman-Kac measures on path spaces (Q2042659) (← links)
- On the anticipative nonlinear filtering problem and its stability (Q2045123) (← links)
- A \(\mathbb{C}^{0, 1}\)-functional Itô's formula and its applications in mathematical finance (Q2132538) (← links)
- Computation of first-order Greeks for barrier options using chain rules for Wiener path integrals (Q3121475) (← links)
- FIRST-ORDER ASYMPTOTICS OF PATH-DEPENDENT DERIVATIVES IN MULTISCALE STOCHASTIC VOLATILITY ENVIRONMENT (Q4565075) (← links)
- The functional Meyer–Tanaka formula (Q4584281) (← links)
- Stochastic Control and Differential Games with Path-Dependent Influence of Controls on Dynamics and Running Cost (Q4630680) (← links)
- Set-Indexed Itô Calculus Along Paths (Q4826130) (← links)
- Path-Dependent Deep Galerkin Method: A Neural Network Approach to Solve Path-Dependent Partial Differential Equations (Q4958400) (← links)
- KrigHedge: Gaussian Process Surrogates for Delta Hedging (Q5093245) (← links)
- Short Communication: Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: A Malliavin Representation (Q5131408) (← links)
- Comparison of Viscosity Solutions of Semilinear Path-Dependent PDEs (Q5210850) (← links)
- Self-interacting diffusions: long-time behaviour and exit-problem in the uniformly convex case (Q6617083) (← links)
